I have to chime in from Alaska, as it is -30 F (-35C) outside right now...

I have always, and always will, let a car warm up for 10-20 minutes if it has been left outside in extreme cold conditions.
JCL is correct in everything he says about idling a car being hard on it.

But, just driving a car in extreme cold conditions is hard on it. Grease seals are stiff, hoses are cold and hard, gear oil is thick (even synthetic gear oil), etc.

All 80,000 people here where I live feel that letting a car warm up prior to drive off is an acceptable trade off.

There are a couple of other considerations to not letting a car warm up:
-no heat is available to defrost the windows. They will start to fog up as soon as you get in.
-you are putting a load (remember, the whole drivetrain is cold and stiff, it takes more power to go the same speed at -40 than it does at 80F) on the engine and transmission when they are in an extreme cold state.
-you are going to freeze your a** off!!

My X5 lives in a heated garage and rarely needs to be cold started. It is equipped with silicone oil pan and transmission pan heaters, so it can be plugged in if it is outside and power is available. It has been left out overnight at -30 or -40 twice, and it started each time. It didn't like it, but it started. I use either BMW 5W-30 or Mobil 1 0W-40 oil in it.
If you have good synthetic oil in your engine, it will start at cold temps. the pour point on these oils is about -55F. Of course, it is VERY hard on the engine to cold start it like that, so its always better to have it pre-heated somehow.

As far as why BMW makes a big deal about not idling their engines, I have no idea. There is nothing 'special' about the engines that I can see that would preclude safe idling.